Lean
$LEAN_TAG$
IAlgorithmSettings.cs
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using
System;
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using
QuantConnect
.
Securities
;
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namespace
QuantConnect.Interfaces
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{
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/// <summary>
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/// User settings for the algorithm which can be changed in the <see cref="IAlgorithm.Initialize"/> method
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/// </summary>
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public
interface
IAlgorithmSettings
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{
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/// <summary>
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/// True if should rebalance portfolio on security changes. True by default
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/// </summary>
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bool
?
RebalancePortfolioOnSecurityChanges
{
get
;
set
; }
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/// <summary>
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/// True if should rebalance portfolio on new insights or expiration of insights. True by default
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/// </summary>
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bool
?
RebalancePortfolioOnInsightChanges
{
get
;
set
; }
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/// <summary>
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/// The absolute maximum valid total portfolio value target percentage
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/// </summary>
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/// <remarks>This setting is currently being used to filter out undesired target percent values,
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/// caused by the IPortfolioConstructionModel implementation being used.
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/// For example rounding errors, math operations</remarks>
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decimal
MaxAbsolutePortfolioTargetPercentage
{
get
;
set
; }
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/// <summary>
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/// The absolute minimum valid total portfolio value target percentage
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/// </summary>
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/// <remarks>This setting is currently being used to filter out undesired target percent values,
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/// caused by the IPortfolioConstructionModel implementation being used.
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/// For example rounding errors, math operations</remarks>
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decimal
MinAbsolutePortfolioTargetPercentage
{
get
;
set
; }
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/// <summary>
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/// Configurable minimum order margin portfolio percentage to ignore bad orders, or orders with unrealistic sizes
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/// </summary>
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/// <remarks>Default minimum order size is $0 value</remarks>
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decimal
MinimumOrderMarginPortfolioPercentage
{
get
;
set
; }
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/// <summary>
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/// Gets/sets the SetHoldings buffers value.
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/// The buffer is used for orders not to be rejected due to volatility when using SetHoldings and CalculateOrderQuantity
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/// </summary>
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decimal?
FreePortfolioValue
{
get
;
set
; }
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/// <summary>
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/// Gets/sets the SetHoldings buffers value percentage.
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/// This percentage will be used to set the <see cref="FreePortfolioValue"/>
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/// based on the <see cref="SecurityPortfolioManager.TotalPortfolioValue"/>
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/// </summary>
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decimal
FreePortfolioValuePercentage
{
get
;
set
; }
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/// <summary>
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/// Gets/sets if Liquidate() is enabled
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/// </summary>
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bool
LiquidateEnabled
{
get
;
set
; }
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/// <summary>
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/// Gets/sets the maximum number of concurrent market data subscriptions available
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/// </summary>
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/// <remarks>
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/// All securities added with <see cref="IAlgorithm.AddSecurity"/> are counted as one,
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/// with the exception of options and futures where every single contract in a chain counts as one.
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/// </remarks>
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[Obsolete(
"This property is deprecated. Please observe data subscription limits set by your brokerage to avoid runtime errors."
)]
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int
DataSubscriptionLimit
{
get
;
set
; }
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/// <summary>
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/// Gets the minimum time span elapsed to consider a market fill price as stale (defaults to one hour)
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/// </summary>
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TimeSpan
StalePriceTimeSpan
{
get
;
set
; }
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/// <summary>
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/// The warmup resolution to use if any
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/// </summary>
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/// <remarks>This allows improving the warmup speed by setting it to a lower resolution than the one added in the algorithm</remarks>
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Resolution
?
WarmupResolution
{
get
;
set
; }
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/// <summary>
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/// Gets or sets the number of trading days per year for this Algorithm's portfolio statistics.
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/// </summary>
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/// <remarks>
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/// This property affects the calculation of various portfolio statistics, including:
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/// - <see cref="Statistics.PortfolioStatistics.AnnualVariance"/>
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/// - <seealso cref="Statistics.PortfolioStatistics.AnnualStandardDeviation"/>
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/// - <seealso cref="Statistics.PortfolioStatistics.SharpeRatio"/>
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/// - <seealso cref="Statistics.PortfolioStatistics.SortinoRatio"/>
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/// - <seealso cref="Statistics.PortfolioStatistics.TrackingError"/>
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/// - <seealso cref="Statistics.PortfolioStatistics.InformationRatio"/>.
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///
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/// The default values are:
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/// - Cryptocurrency Exchanges: 365 days
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/// - Traditional Stock Exchanges: 252 days
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///
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/// Users can also set a custom value for this property.
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/// </remarks>
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int
?
TradingDaysPerYear
{
get
;
set
; }
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}
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}
Common
Interfaces
IAlgorithmSettings.cs
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